An optimal stopping problem in a diffusion-type model with delay

We present an explicit solution to an optimal stopping problem in a model described by a stochastic delay differential equation with an exponential delay measure. The method of proof is based on reducing the initial problem to a free-boundary problem and solving the latter by means of the smooth-fit condition. The problem can be interpreted as pricing special perpetual average American put options in a diffusion-type model with delay.

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Year of publication:	2005
Authors:	Gapeev, Pavel V. ; Reiß, Markus
Publisher:	Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk

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Series:	SFB 649 Discussion Paper ; 2005-005
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	49598552X [GVK] hdl:10419/25024 [Handle] RePEc:zbw:sfb649:sfb649dp2005-005 [RePEc]
Source:	EconStor

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010263580